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Advanced Econometrics 2013-14

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NAITIK SHAH
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11 views

Advanced Econometrics 2013-14

Uploaded by

NAITIK SHAH
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Paste file SVKM’s NMIMS Sarla Anil Modi School of Economics Programme: B.Sc.(Eco.) Batch:2011-2014 | Academic Year: 2013 - 2014 Subject: Advanced Econometrics Marks: 40 Date: 24/01/2014 ‘Time: 3.30 pm - 5.30 pm Duratio: Hrs. Answer any FOUR question and all question carry equal marks. 1. A logit model using OLS estimate is not feasible when you have the data at the individual level. Why? Explain the alternative procedure that can be used to estimate the logit model in this framework 7 2. Explain an ARCH model. What are the drawbacks of ARCH models? What modification ‘was done in GARCH model to eliminate these problems? 3. What is a spurious regression? How do you infer about the presence of spurious regression? Ifa person is running a regression model ¥ = 179.9 — 0.2952 | — 0.0439 S, (16.63) (2.32) (-4.26) R? = 0.918,d = 0.4752 Where, Y = Indian infant mortality rate 1 Gross income of American farmers = the total money supply in Spanish economy ‘What can you infer about the regression model from the estimated values? 4. Explain the importance of simultaneous equation model in economic analysis. Give your explanation with a suitable example. Show that the OLS estimates are inconsistent in the simultaneous equations framework 5. Dummy variable regression analysis can be used to capture changes in the intercept, changes in slopes and changes in both intercept and slope. Explain the concept with three equations explaining this. If the dummy variable D=1 for female and D=0 for male write the regression equations for male and female respondents explaining their consumption Wo habit with respect to their income. What are the advantages of estimating the dummy variable regression as opposed to two separate regression function for male and female respondents? (@) Differentiate between R? and R*. Why is it important to make your inference based on RB (b) Differentiate between a Random Walk Model and a Random Walk with Drift Model.

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